9 papers · 1 filter
Continuous-time q-learning for Markov regime switching system under Tsallis entropy
Minghui Zhang, Xun Li, Jie Xiong +1
This paper studies continuous-time q-learning (the continuous-time counterpart of Q-learning) for a Markov regime-switching system under Tsallis entropy regularization. The Tsallis…
Turnpike properties for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Xun Li, Fan Wu, Xin Zhang
This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the…
An infinite horizon sufficient stochastic maximum principle for regime switching diffusions and applications
Kai Ding, Xun Li, Siyu Lv +1
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interest…
Robust optimal stopping with regime switching
Siyu Lv, Zhen Wu, Jie Xiong +1
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programmin…
Open-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Fan Wu, Xun Li, Xin Zhang
This paper investigates zero-sum stochastic linear quadratic (SLQ) differential games with Markovian jumps. Open-loop and closed-loop solvabilities are studied by employing a new `…
Zero-sum stochastic linear-quadratic Stackelberg differential games of Markovian regime-switching system
Fan Wu, Xun Li, Jie Xiong +1
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weightin…